Why not select and weight stocks in a growth portfolio using only firm growth fundamentals rather than variables that depend on stock price? In their July 2025 paper entitled “Fundamental Growth”, Robert Arnott, Chris Brightman,...
The value of holdings in passive (capitalization-weighted, index tracking) U.S. equity funds now exceeds that in active U.S. equity funds. In their May 2025 paper entitled “Passive Aggressive: The Risks of Passive Investing Dominance”, Chris...
Do exchange-traded funds selecting stocks based on environmental, social, and governance characteristics (ESG ETF) typically offer attractive performance? To investigate, we compare performance statistics of eight ESG ETFs, all currently available, to those of simple...
Do term structures of commodity futures contract series shift in an exploitably predictable way? In their May 2025 paper entitled “Short-Term Basis Reversal”, Alberto Rossi, Yingguang Zhang and Yandi Zhu examine relationships between the return...
Is aggregate net U.S. public company stock buyback activity a useful predictor of U.S. stock market return? To investigate, we relate the quarterly FRED Security Repurchase Agreements; Nonfinancial Corporate Business series (buybacks) to quarterly S&P...
Below is a weekly summary of our research findings for 7/14/25 through 7/18/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Is U.S. equity factor return momentum broader and stronger for a short momentum measurement lookback interval than for a long one? In their July 2025 paper entitled “Revisiting Factor Momentum: A One-month Lag Perspective”, Mikael...
The four iShares Core Asset Allocation exchange-traded funds (ETF) offer exposures to U.S. stocks, global stocks and bonds semiannually rebalanced to fixed weights, as follows. iShares Core Conservative Allocation (AOK) – 30% stocks and 70%...
Do S&P 500 earnings growth rates predict S&P 500 Index (SP500) returns? To investigate, we relate actual 12-month SP500 operating earnings growth rate and as-reported earnings growth rate measured quarterly to SP500 quarterly return. We...
To determine whether the stock market is expensive or cheap, some experts use aggregate valuation ratios, either trailing or forward-looking, such as earnings-price ratio (E/P) and dividend yield. Under belief that such ratios are mean-reverting,...
Below is a weekly summary of our research findings for 7/7/25 through 7/11/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How is the growing use of large language models (LLM) in production of academic papers in finance affecting outputs? In their June 2025 paper entitled “Certainly! Generative AI and its Impact on Academic Writing (in...
Can investors safely capture the U.S. stock market volatility risk premium (VRP), the tendency of implied volatility to exceed realized volatility. In their June 2025 paper entitled “The Volatility Edge, A Dual Approach For VIX...
Do the trading activities of especially informed equity and equity option traders predict stock returns? In the June 2025 revision of their paper entitled “An Information Factor: What Are Skilled Investors Buying and Selling?”, Matthew...
Blockchain is a decentralized, secure digital ledger that automatically records transactions across many computers. Each block of data contains a list of transactions, with blocks linked to form a chain. Cryptography ensures integrity and immutability...
A subscriber asked whether behaviors of other asset classes predict those of real estate investment trusts (REIT) as proxied by Vanguard Real Estate Index Fund ETF Shares (VNQ). To investigate, we relate VNQ monthly returns...
Below is a weekly summary of our research findings for 6/30/25 through 7/3/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do private equity funds beat the public equity market, as implied by allocations of large investors such as university endowments, pension funds and sovereign wealth funds? In his June 2025 paper entitled “Apples and Oranges:...
Given the body of research on the outperformance of low-risk stocks, should the equity asset pricing community add a low-volatility factor in standard models of stock returns? In their June 2025 paper entitled “Factoring in...
How do different asset classes interact with euro-U.S. dollar exchange rate? To investigate, we consider relationships between Invesco CurrencyShares Euro Currency (FXE) and the exchange-traded fund (ETF) asset class proxies used in the Simple Asset...
The main criticism of conventional volatility (standard deviation of returns) as a risk metric is that weights deviations above and below the mean equally. But, is volatility still adequate for most investors as an indicator...
Below is a weekly summary of our research findings for 6/23/25 through 6/27/25. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
How do different asset classes interact with U.S. dollar valuation? To investigate, we consider relationships between Invesco DB US Dollar Index Bullish Fund (UUP) and the exchange-traded fund (ETF) asset class proxies used in the...
Could mutual fund managers achieve performance improvements by “hiring” artificial intelligence (AI) analysts? In their May 2025 working draft entitled “The Shadow Price of ‘Public’ Information”, Ed deHaan, Chanseok Lee, Miao Liu and Suzie Noh estimate...
How fast should individuals plan to grow net worth as they age? To investigate, we examine median levels of household (1) total net worth and (2) net worth excluding home equity from several vintages of U.S. Census...